标题: Fixed Income Pop Quiz - credit options [打印本页] 作者: LPoulin133 时间: 2011-7-11 15:20 标题: Fixed Income Pop Quiz - credit options
PM of ABC company is worried that Company D will be downgraded and Company E will trade off due to poor financials (spread will get worse). What credit options are apppropriate:
a. buy a binary call option on Company D and a credit spread put option on company E
b. buy a binary put option on Company D and a credit spread put option on company E
c. buy a binary put option on Company D and a credit spread call option on company E作者: lcw77 时间: 2011-7-11 15:21
C for sure作者: liangfeng 时间: 2011-7-11 15:21
SkipE99 Wrote:
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> I will take the physical challenge.
lol作者: Zestt 时间: 2011-7-11 15:21
I will take the physical challenge.作者: pennyless 时间: 2011-7-11 15:21
real tough question. We finally get a question posted but its a doosey作者: ohai 时间: 2011-7-11 15:21
Pardon me, why not B?作者: bboo 时间: 2011-7-11 15:21
Oal29 Wrote:
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> Pardon me, why not B?
Correct answer is "c".
A credit spread put option for E will be useful if you believe that the spreads will decline and not widen.作者: liangfeng 时间: 2011-7-11 15:21
A credit spread call option has the spread as underlying. As the spread increases, so does the call value,
